Analysis For Component Of The CSI 300 Index Futures’ Basis

The CSI 300 Index Futures was launched on April 16,2010 on the China Financial Futures Exchange, and gained a firm foothold successfully over the market expecta-tion. As the first Exchange-traded standardized derivative in China, the CSI Index Fu-tures achieved the requirements of "high standard and steady start". After four years development, the attendant number, contract position, average daily trading volume and other indicators increased steadily, and market scale was gradually ex-panding. From these dominant indicators, the CSI 300 Index Futures market has gained initial success, achieved the intended target. With the introduction of the re-lated guidance documents for the broker, fund, QFII and trust accounts involved in the index futures market, institutional investors participating in futures trading have gradually accelerated.Theoretically, in a complete market, new information should be reflected in the futures market and spot prices simultaneously, the transmission of information be-tween two markets makes prices in a long-run equilibrium state. However, in reality, due to liquidity, transaction cost, investor structure, there is difference between the reactions of futures and spot prices. Prices will deviate from long-run equilibrium level, there exists arbitrage opportunities. Arbitrage trading further makes prices re-turn to equilibrium. The research for foreign mature markets shows that, because of the high leverage, low transaction cost and no short selling restriction, futures often reflect to information faster, which is more effective than the spot market.However, in the period from March to August,2013, the CSI 300 Index Fu-tures emerged sustained agio. Especially during the period from May to July, fu-tures price is out of non-arbitrage interval for a long time. Because the dividends of constituent stocks of the CSI 300 index are also concentrated in this period, some of the market views consider the large agio is caused by dividends.In order to check the above point of view, this paper will break influential fac-tors of the stock index futures basis into long-term and short-term. Long term effects of factors including dividends and capital cost, short-term disturbance factors in-clude tax and investor sentiment. After analyzing the historical price of the CSI 300 Index Futures during May to July,2013, using the cost of carry model, which is amended in order to meet the facts of seasonal dividends in China, this paper find out that the large agio cannot be fully explained by the long-term effects of factors. And then make a empirical studies to investor sentiment using the positive feedback model.